Rendering with background, but saving with alpha?
This would be a good place to use the compositor:



Have a renderlayer of your object on a transparent background, and another renderlayer with just the background. Let the transparent background render remain connected to the "Composite" output node, and mix the two renderlayers for the "Viewer" output node so you can see it on the background while in blender.

If you want to save time on rendering, and your background doesn't change, you can render the background, save it as a texture, then mix using that texture instead of an additional renderlayer.